A framework for financial market modeling, the benchmark approach extends beyond standard risk neutral pricing theory. It permits a unified treatment of portfolio optimization, derivative pricing, integrated risk management and insurance risk modeling. This book presents the necessary mathematical tools, followed by a thorough introduction to financial modeling under the benchmark approach, explaining various quantitative methods for the fair pricing and hedging of derivatives.
| ||||||||||||||||||
Book Description
Editorial Reviews
Review
From the reviews: "The book under review introduces quantitative finance using the benchmark approach. … It is quite a nice blend of narrative and mathematics. There are also some bigger examples which contribute nicely to the overall presentation. … Exercises are provided at the end of each chapter. The authors even provide solutions to exercises. … I think it could be quite useful for students, because of the first part of the book, and to practitioners, due to the exposition in the second part of the book." (Ita Cirovic Donev, MathDL, March, 2007) "This book provides an introduction to quantitative finance. … It aims to stimulate interest in the benchmark approach by describing some of its power and wide applicability. It is intended for quantitative analysts postgraduate students, practioners in finance, economics and insurance. … It is designed for three groups of users. Firstly, it provides useful information to financial analysts and practioners. Secondly, it aims to introduce those with a reasonable basic mathematical background. Thirdly, researchers may find the later parts of the book interesting … ." (Klaus Ehemann, Zentralblatt MATH, Vol. 1104 (6), 2007) "The book is a rather comprehensive treatment of quantitative finance and distinguishes itself from other analogous treatments by using a novel approach that allows one to generalize various existing results and to some extent also allows one to bridge a certain gap between current and classical approaches. … The comprehensiveness of the book is very valuable for research … ." (Wolfgang J. Runggaldier, Mathematical Reviews, Issue 2008 d)
From the Back Cover
The benchmark approach provides a general framework for financial market modeling, which extends beyond the standard risk neutral pricing theory. It permits a unified treatment of portfolio optimization, derivative pricing, integrated risk management and insurance risk modeling. The existence of an equivalent risk-neutral pricing measure is not required. Instead, it leads to pricing formulae with respect to the real world probability measure. This yields important modeling freedom which turns out to be necessary for the derivation of realistic, parsimonious market models. The first part of the book describes the necessary tools from probability theory, statistics, stochastic calculus and the theory of stochastic differential equations with jumps. The second part is devoted to financial modeling under the benchmark approach. Various quantitative methods for the fair pricing and hedging of derivatives are explained. The general framework is used to provide an understanding of the nature of stochastic volatility. The book is intended for a wide audience that includes quantitative analysts, postgraduate students and practitioners in finance, economics and insurance. It aims to be a self-contained, accessible but mathematically rigorous introduction to quantitative finance for readers that have a reasonable mathematical or quantitative background. Finally, the book should stimulate interest in the benchmark approach by describing some of its power and wide applicability.
Product Details
Would you like to update product info or give feedback on images?
|
More About the Author
Discover books, learn about writers, read author blogs, and more.
Customer Reviews
|
There are no customer reviews yet.
|
|||
|
Video reviews
|
Inside This Book
(learn more)
First Sentence:
In financial markets one can observe the prices of assets such as stocks, commodities, currencies, futures, bonds etc. Read the first page Key Phrases - Statistically Improbable Phrases (SIPs): (learn more)
minimal market model, strict supermartingale, strictly positive portfolio, approximate quadratic variation, hypothetical risk neutral, strict local martingale, benchmarked portfolios, tradable wealth, real world pricing, discounted terminal wealth, numeraire pair, discounted drift, continuous financial markets, real world probability measure, domestic savings account, variance gamma density, nonnegative portfolios, growth optimal portfolio, covariation property, fair portfolio, aggregate diffusion coefficient, hedge simulation, best performing portfolio, squared volatility, risk neutral pricing formula Key Phrases - Capitalized Phrases (CAPs): (learn more)
Monte Carlo, Diversification Theorem, Girsanov Theorem, Law of Large Numbers, Central Limit Theorem, Statistical Methods, Various Approaches, Black-Scholes European, Martingale Representation Theorem New!
Books on Related Topics | Concordance | Text Stats Browse Sample Pages:
Front Cover | Table of Contents | First Pages | Index | Surprise Me!
In financial markets one can observe the prices of assets such as stocks, commodities, currencies, futures, bonds etc. Read the first page Key Phrases - Statistically Improbable Phrases (SIPs): (learn more)
minimal market model, strict supermartingale, strictly positive portfolio, approximate quadratic variation, hypothetical risk neutral, strict local martingale, benchmarked portfolios, tradable wealth, real world pricing, discounted terminal wealth, numeraire pair, discounted drift, continuous financial markets, real world probability measure, domestic savings account, variance gamma density, nonnegative portfolios, growth optimal portfolio, covariation property, fair portfolio, aggregate diffusion coefficient, hedge simulation, best performing portfolio, squared volatility, risk neutral pricing formula Key Phrases - Capitalized Phrases (CAPs): (learn more)
Monte Carlo, Diversification Theorem, Girsanov Theorem, Law of Large Numbers, Central Limit Theorem, Statistical Methods, Various Approaches, Black-Scholes European, Martingale Representation Theorem New!
Books on Related Topics | Concordance | Text Stats Browse Sample Pages:
Front Cover | Table of Contents | First Pages | Index | Surprise Me!
Books on Related Topics
(learn more)
|
What Other Items Do Customers Buy After Viewing This Item?
Tags Customers Associate with This Product(What's this?)Click on a tag to find related items, discussions, and people.
|
Sell a Digital Version of This Book in the Kindle Store
If you are a publisher or author and hold the digital rights to a book, you can sell a digital version of it in our Kindle Store.
Learn more
Customer Discussions
|
This product's forum
Active discussions in related forums
Search Customer Discussions
|
Related forums
|
